Fair Value

The carrying amount of rents and other receivables, restricted cash, escrow deposits, prepaid expenses and other assets, and accounts payable and accrued expenses approximate fair value because of the short maturity of these amounts. The Company’s interest rate cap agreement and preferred shares derivative liability are the only financial instruments recorded at fair value on a recurring basis in the consolidated financial statements.

Our credit facilities, term loan facility, asset-backed securitizations and secured note payable are also financial instruments, which are classified as Level 3 in the fair value hierarchy as they were estimated by using unobservable inputs. We estimated their fair values by modeling the contractual cash flows required under the instruments and discounting them back to their present values using estimates of current market rates. Our exchangeable senior notes are also financial instruments, which are classified as Level 2 in the fair value hierarchy as their fair value is estimated using observable inputs, based on the market value of the last trade at the end of the period. The following table displays the carrying values and fair values of our debt instruments as of December 31, 2016 and 2015 (in thousands):



	December 31, 2016				December 31, 2015
	Carrying Value		Fair Value		Carrying Value		Fair Value
2014-SFR1 securitization	$	456,074	$	465,343	$	473,755	$	472,258
2014-SFR2 securitization	501,810		510,941		507,305		476,952
2014-SFR3 securitization	517,827		530,549		523,109		489,448
2015-SFR1 securitization	543,480		553,689		549,121		496,673
2015-SFR2 securitization	472,043		483,901		476,920		433,633
Total asset-backed securitizations (1)	2,491,234		2,544,423		2,530,210		2,368,964
Exchangeable senior notes, net (2)	108,148		142,808		—		—
Secured note payable	49,828		50,053		50,752		48,631
Term loan facility (3)	325,000		325,000		—		—
Total debt	$	2,974,210	$	3,062,284	$	2,580,962	$	2,417,595


(1)	The carrying values of the asset-backed securitizations exclude $48.4 million and $56.6 million of deferred financing costs as of December 31, 2016, and December 31, 2015, respectively.


(2)	The carrying value of the exchangeable senior notes, net is presented net of an unamortized discount.

(3)

The carrying value of the term loan facility excludes $3.3 million of deferred financing costs as of December 31, 2016. As our term loan facility bears interest at a floating rate based on an index plus a spread, which is a LIBOR rate plus a margin ranging from 1.70% to 2.30% or a base rate (generally determined according to a prime rate or federal funds rate) plus a margin ranging from 0.70% to 1.30%, management believes that the carrying value of the term loan facility as of December 31, 2016, reasonably approximates fair value.

Valuation of the preferred shares derivative liability considers scenarios in which the preferred shares would be redeemed or converted into Class A common shares by the Company and the subsequent payoffs under those scenarios. The valuation also considers certain variables such as the risk-free rate matching the assumed timing of either redemption or conversion, volatility of the underlying home price appreciation index, dividend payments, conversion rates, the assumed timing of either redemption or conversion and an assumed drift factor in home price appreciation across certain MSAs as outlined in the agreement.

The following tables set forth the fair value of the contingently convertible Series E units liability and preferred shares derivative liability as of December 31, 2016 and 2015 (in thousands):



	December 31, 2016
Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Liabilities:
Preferred shares derivative liability	$	—	$	—	$	69,810	$	69,810



	December 31, 2015
Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Liabilities:
Contingently convertible Series E units liability	$	—	$	—	$	69,957	$	69,957
Preferred shares derivative liability	$	—	$	—	$	62,790	$	62,790

The following table presents changes in the fair values of our Level 3 financial instruments, consisting of our contingently convertible Series E units liability and preferred shares derivative liability, which are measured on a recurring basis with changes in fair value recognized in remeasurement of Series E convertible units and remeasurement of preferred shares, respectively, in the consolidated statements of operations, for the years ended December 31, 2016 and 2015 (in thousands):



Description	January 1, 2016		Conversions			Gain and remeasurement included in earnings			December 31, 2016
Liabilities:
Contingently convertible Series E units liability	$	69,957	$	(58,494	)	$	(11,463	)	$	—
Preferred shares derivative liability	$	62,790	$	—		$	7,020		$	69,810



Description	January 1, 2015		Conversions		Remeasurement included in earnings			December 31, 2015
Liabilities:
Contingently convertible Series E units liability	$	72,057	$	—	$	(2,100	)	$	69,957
Preferred shares derivative liability	$	57,960	$	—	$	4,830		$	62,790

Changes in inputs or assumptions used to value the preferred shares derivative liability may have a material impact on the resulting valuation.